Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0439
Annualized Std Dev 0.1989
Annualized Sharpe (Rf=0%) -0.2209

Row

Daily Return Statistics

Close
Observations 3435.0000
NAs 1.0000
Minimum -0.1481
Quartile 1 -0.0045
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0050
Maximum 0.1897
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0125
Skewness 0.3592
Kurtosis 35.4123

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0098
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.6720
Historical VaR (95%) -0.0170
Historical ES (95%) -0.0302
Modified VaR (95%) -0.0104
Modified ES (95%) -0.0104
From Trough To Depth Length To Trough Recovery
2007-08-16 2020-03-18 NA -0.672 3423 3169 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA 0 0 -0.4 0.6 2.1 3.6 6.1
2008 2 -2.8 1.3 1 1.7 0.6 -1.3 1 3 0.9 -5.6 2.2 3.6
2009 0.1 0.6 1.3 0.1 1.3 -1.1 -1.5 -0.4 -0.8 -3.6 0.3 0.3 -3.4
2010 0.4 -0.1 0.2 -1.3 -2.4 -1 0.1 -1.4 1.2 -0.2 0.5 0.6 -3.2
2011 0.8 -1.1 0.2 0.3 -0.6 0.2 0.3 -0.3 -1.7 -2.1 -0.3 0.7 -3.5
2012 0.9 0.8 0.1 0.5 -1.1 1.4 0.6 0.5 1.1 1 -0.2 1.5 7.2
2013 0.2 -0.1 0.5 -1 -0.6 0.5 0.5 -0.2 1.4 -0.4 0.2 -0.4 0.5
2014 -0.6 0.3 -0.2 0.1 -0.2 0.6 -1.2 0.6 -0.3 0.3 -0.9 -2.3 -3.8
2015 -1.5 0 -0.3 0.5 0.1 -0.3 0.3 -2.1 2.4 -0.6 1.5 1.5 1.4
2016 -0.4 1.5 0.2 1 0.7 0.4 -0.1 -0.2 0.9 -1.3 -0.7 -0.6 1.3
2017 -0.3 0.6 0 -0.2 0.4 0.1 0.2 0.5 0.5 0.1 0.3 0.2 2.6
2018 0.6 -0.3 0.7 0.1 0.5 0.1 0.1 0 0.6 0.9 0.9 0.5 4.8
2019 -0.5 0.2 -0.2 0.4 -0.1 0.3 -0.7 -0.1 -0.2 0.4 0 0.2 -0.2
2020 -1.4 -2.2 -4.1 -1.8 0.4 0.7 0.7 0.7 1.5 -1.2 1.1 0.8 -4.7
2021 1.2 1.5 0.7 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-07-27    20 SPY    145. -0.0197  -0.0547  -0.0352  -0.0296    0.144    0.322    0.728 GLD    65.4 -3.70e-3  -0.0321
2 2007-07-30    20 SPY    147.  0.0156  -0.0428  -0.0199  -0.0061    0.163    0.339    0.722 GLD    65.8  5.50e-3  -0.0252
3 2007-07-31    20 SPY    146. -0.0113  -0.0369  -0.0313  -0.0198    0.139    0.318    0.623 GLD    65.8  3.00e-4  -0.0249
4 2007-08-01    20 SPY    146.  0.0049  -0.0342  -0.0353  -0.0208    0.145    0.321    0.610 GLD    65.9  2.10e-3  -0.0145
5 2007-08-02    20 SPY    148.  0.008   -0.0028  -0.0311  -0.0183    0.160    0.329    0.619 GLD    65.9 -6.00e-4   0.0037
6 2007-08-03    20 SPY    144. -0.0257  -0.009   -0.0551  -0.0472    0.123    0.305    0.620 GLD    66.7  1.21e-2   0.0196
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart